A tool that measures the sensitivity of convexity of duration or modified duration to a change in yield. It could...

The positive value of duration gap that results when the duration of assets is larger than the duration of liabilities...

The negative value of duration gap that results when the duration of assets is less than the duration of liabilities...

A practice whereby an intermediary enters into one side of the swap transaction, such as fixed rate payer (or floating...

A measure of a swap's value sensitivity to interest rate changes. The duration of a swap is equal to the...

Another term for modified duration; a tool that is used to measure the change in the value of a financial...

A duration measure that is derived from multiplying a bond's modified duration by the bond price. It is the price change for a 100 basis points change in yield....

A convexity measure that captures the the approximate change in a bond's dollar price that is not explained by duration. Dollar convexity= convexity ×...

A measure of the mismatch between assets and liabilities. By definition, it is the weighted duration of assets minus the product of the...

It stands for leverage-adjusted duration gap ; a duration gap measure that takes into account a bank's overall exposure to interest rate...